Hatjispyros, Spyridon J. and Nicoleris, Theodoros and Walker, Stephen G.
(2007)
Parameter estimation for random dynamical systems using slice sampling.
Physica A: Statistical Mechanics and its Applications, 381
.
pp. 71-81.
ISSN 03784371.
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Abstract

We provide details on the full reconstruction of the dynamic equations from measured time series data, given the general class of the underlying physical process. Our results can be used by researchers in physical modelling and statistical mechanics interested in an efficient estimation of low dimensional models, incorporating dynamic as well as observational noise. Our approach is Bayesian, based on an auxiliary variables algorithm that is fast and accurate, and direct, in the sense that only uniform distributions need to be sampled. This method is simpler than other Bayesian approaches where one has to sample from non-standard-unknown distributions using MCMC methods. (c) 2007 Elsevier B.V. All rights reserved.